If you need the chip to be reprogrammable when installed then put in the header pins for programming. If, on the other hand, you are only talking about the first time the chip is used that you need it programmed, then program it before it ever gets installed. Make a small programmer board with a zif socket for the type of chip you want to program. Last option would be put in the landing holes for the programming plug and then use a jig with pogo pins to mate with it while programming. Main factor on what to choose should be if you are planning on reprogramming in the field (more than once).
Also if you were ordering a lot of chips, you could get the provider to program them for you. This is generally for big (money and volume) orders.